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The Information Content of Prices in Derivative Security Markets

Author : Louis O. Scott

Publisher : International Monetary Fund

Page : 42 pages

File Size : 37,65 MB

Release : 1991-12-01

Category : Business & Economics

ISBN : 1451932553

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Book Description

Prices in futures markets and option markets reflect expectations about future price movements in spot markets, but these prices can also be influenced by risk premia. Futures and forward prices are sometimes interpreted as market expectations for future spot prices, and option prices are used to calculate the market’s expectations for future volatility of spot prices. Do these prices accurately reflect market expectations? The purpose of this paper is to examine the information that is reflected in futures prices and option prices. The issue is examined by reviewing both the relevant analytical models and the empirical evidence.



The Information Content of Prices in Derivative Security Markets

Author : Louis Scott

Publisher :

Page : 42 pages

File Size : 30,84 MB

Release : 2006

Category :

ISBN :

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Book Description

Prices in futures markets and option markets reflect expectations about future price movements in spot markets, but these prices can also be influenced by risk premia. Futures and forward prices are sometimes interpreted as market expectations for future spot prices, and option prices are used to calculate the market`s expectations for future volatility of spot prices. Do these prices accurately reflect market expectations? The purpose of this paper is to examine the information that is reflected in futures prices and option prices. The issue is examined by reviewing both the relevant analytical models and the empirical evidence.





Derivatives

Author : Robert E. Whaley

Publisher : John Wiley & Sons

Page : 962 pages

File Size : 20,37 MB

Release : 2007-02-26

Category : Business & Economics

ISBN : 0470086386

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Book Description

Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.



Introduction To Derivative Securities, Financial Markets, And Risk Management, An (Second Edition)

Author : Robert A Jarrow

Publisher : World Scientific

Page : 772 pages

File Size : 15,42 MB

Release : 2019-05-16

Category : Business & Economics

ISBN : 1944659579

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Book Description

Written by two of the most distinguished finance scholars in the industry, this introductory textbook on derivatives and risk management is highly accessible in terms of the concepts as well as the mathematics.With its economics perspective, this rewritten and streamlined second edition textbook, is closely connected to real markets, and:Beginning at a level that is comfortable to lower division college students, the book gradually develops the content so that its lessons can be profitably used by business majors, arts, science, and engineering graduates as well as MBAs who would work in the finance industry. Supplementary materials are available to instructors who adopt this textbook for their courses. These include:Solutions Manual with detailed solutions to nearly 500 end-of-chapter questions and problemsPowerPoint slides and a Test Bank for adoptersPRICED! In line with current teaching trends, we have woven spreadsheet applications throughout the text. Our aim is for students to achieve self-sufficiency so that they can generate all the models and graphs in this book via a spreadsheet software, Priced!



Option Trading and the Information Content of Security Prices with Respect to Accounting Earnings

Author : Li-Chin Jennifer Ho

Publisher :

Page : pages

File Size : 28,40 MB

Release : 1997

Category :

ISBN :

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Book Description

Prior studies show that option listing and subsequent trading improve a firm's information environment and that the price-earnings relation is influenced by characteristics of the information environment. Motivated by these research findings, we examine whether option trading is associated with changes in the information content of security prices with respect to future accounting earnings. We find that before the listing of a firm's options, the firm's security returns from the previous fiscal year convey little information regarding the current year's earnings changes. In contrast, the returns from the previous fiscal year are a significant variable in explaining the current year's earnings changes after option listing. Our findings are robust after potential confounding factors, such as firm size, financial press coverage, and institutional concentration, are controlled. Overall, the evidence is consistent with the claim that option trading enhances the informativeness of security prices with respect to future accounting earnings.





Financial Derivatives Pricing: Selected Works Of Robert Jarrow

Author : Robert A Jarrow

Publisher : World Scientific

Page : 609 pages

File Size : 32,41 MB

Release : 2008-10-08

Category : Business & Economics

ISBN : 9814470635

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Book Description

This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.



An Introduction to the Mathematics of Financial Derivatives

Author : Salih N. Neftci

Publisher : Academic Press

Page : 550 pages

File Size : 10,41 MB

Release : 2000-05-19

Category : Business & Economics

ISBN : 0125153929

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Book Description

A step-by-step explanation of the mathematical models used to price derivatives. For this second edition, Salih Neftci has expanded one chapter, added six new ones, and inserted chapter-concluding exercises. He does not assume that the reader has a thorough mathematical background. His explanations of financial calculus seek to be simple and perceptive.



Following the Money

Author : National Research Council

Publisher : National Academies Press

Page : 225 pages

File Size : 30,98 MB

Release : 1995-11-12

Category : Political Science

ISBN : 0309048834

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Book Description

Many questions have been raised about America's status in the increasingly interconnected global economy. Yet key factsâ€"such as the amount of foreign assets abroad owned by U.S. citizensâ€"are not known. The crucial data needed to assess the U.S. position are unavailable. This volume explores significant shortcomings in U.S. data on international capital transactions and their implications for policymakers. The volume offers clearcut recommendations for U.S. agencies to bring data collection and analyses of the global economy into the twenty-first century. The volume explores: How factors emerging since the early 1980s have shaped world financial markets and revealed shortcomings in data collection and analysis. How the existing U.S. data system works and where it fails how measurements of international financial transactions are recorded; and how swaps, options, and futures present special reporting problems. How alternative methods, such as collecting data, from sources such as global custodians and international clearinghouses, might improve coverage and accuracy.